Tests of asset-pricing models typically form portfolios of stocks (based on criteria such as market capitalization and book-to-market values). The validity of this approach has been debated (see, for example, Berk, 2000). We consider a simple method of testing asset-pricing models using the returns of individual securities and illustrate the approach in a test of the robustness of analyses reported by Durand et al. (2006) and Limkriangkrai et al. (2008).